Results 31 to 40 of about 143 (96)

A Generative Adversarial Network Approach to Calibration of Local Stochastic Volatility Models

Risks, 2020
We propose a fully data-driven approach to calibrate local stochastic volatility (LSV) models, circumventing in particular the ad hoc interpolation of the volatility surface.
Christa Cuchiero, Wahid Khosrawi, Josef Teichmann   +2 more
doaj   +1 more source

Stereotactic ablative radiotherapy before resection to avoid delay for early‐stage lung cancer or oligometastases during the COVID‐19 pandemic: Pathologic outcomes from the SABR‐BRIDGE protocol

Cancer, Volume 129, Issue 18, Page 2798-2807, 15 September 2023., 2023
Abstract Background During coronavirus disease 2019 (COVID‐19)–related operating room closures, some multidisciplinary thoracic oncology teams adopted a paradigm of stereotactic ablative radiotherapy (SABR) as a bridge to surgery, an approach called SABR‐BRIDGE. This study presents the preliminary surgical and pathological results.
Biniam Kidane, Ian J. Gerard, Jonathan Spicer, Julian O. Kim, Pierre O. Fiset, Paul Wawryko, Matthew J. Cecchini, Richard Inculet, Bassam Abdulkarim, Dalilah Fortin, Mehdi Qiabi, Gefei Qing, Stephanie Enns, Bashir Bashir, James Tankel, Elliot Wakeam, Andrew Warner, Neil Kopek, Brian P. Yaremko, George B. Rodrigues, Joanna M. Laba, Melody Qu, Richard A. Malthaner, David A. Palma   +23 more
wiley   +1 more source

Hedging options in a hidden Markov‐switching local‐volatility model via stochastic flows and a Monte‐Carlo method

Journal of Futures Markets, Volume 43, Issue 7, Page 925-950, July 2023., 2023
Abstract The hedging of European contingent claims in a continuous‐time hidden Markov‐regime‐switching diffusion model is discussed using stochastic flows of diffeomorphisms and Monte‐Carlo simulations. Specifically, the price dynamics of an underlying risky asset are governed by a continuous‐time hidden Markov‐modulated local‐volatility model ...
Robert J. Elliott, Tak Kuen Siu
wiley   +1 more source

Clinical evidence for synergy between immunotherapy and radiotherapy (SITAR)

Journal of Medical Imaging and Radiation Oncology, Volume 66, Issue 6, Page 881-895, September 2022., 2022
Summary Previous preclinical and clinical trials have shown promising antitumour activity and toxicity profile when employing the ‘Synergy between Immunotherapy and Radiotherapy’ (SITAR) strategy. Approximately, one in seven radiation therapy studies currently recruiting is investigating SITAR. This article reviews the range of cancers known to respond
Suki Gill, Anna K Nowak, Samantha Bowyer, Raelene Endersby, Martin A Ebert, Alistair Cook   +5 more
wiley   +1 more source

The price‐leverage covariation as a measure of the response of the leverage effect to price and volatility changes

Applied Stochastic Models in Business and Industry, Volume 38, Issue 3, Page 497-511, May/June 2022., 2022
Abstract We study the sensitivity of the leverage effect to changes of the volatility and the price, showing the existence of an analytical link between the latter and the price‐leverage covariation in settings with, respectively, stochastic and level‐dependent volatility.
Giacomo Toscano
wiley   +1 more source

Ecological and Coevolutionary Dynamics in Modern Markets Yield Nonstationarity in Market Efficiencies

Complexity, Volume 2022, Issue 1, 2022., 2022
The U.S. stock market is one of the largest and most complex marketplaces in the global financial system. Over the past several decades, this market has evolved at multiple structural and temporal scales. New exchanges became active, and others stopped trading, regulations have been introduced and adapted, and technological innovations have pushed the ...
Colin M. Van Oort, IV John Henry Ring, David Rushing Dewhurst, Christopher M. Danforth, Brian F. Tivnan, Paulo Jorge Silveira Ferreira   +5 more
wiley   +1 more source

Pricing Continuously Monitored Barrier Options under the SABR Model: A Closed-Form Approximation

Journal of Management Science and Engineering, 2017
The stochastic alpha beta rho (SABR) model introduced by Hagan et al. (2002) is widely used in both fixed income and the foreign exchange (FX) markets. Continuously monitored barrier option contracts are among the most popular derivative contracts in the
Nian Yang, Yanchu Liu, Zhenyu Cui
doaj   +1 more source

The promises and challenges of early non‐small cell lung cancer detection: patient perceptions, low‐dose CT screening, bronchoscopy and biomarkers

Molecular Oncology, Volume 15, Issue 10, Page 2544-2564, October 2021., 2021
Image depicting all tumour‐derived components that can be detected in blood. Produced using BioRender. Lung cancer survival statistics are sobering with survival ranking among the poorest of all cancers despite the addition of targeted therapies and immunotherapies. However, improvements in tools for early detection hold promise. The Nederlands–Leuvens
Lukas Kalinke, Ricky Thakrar, Sam M. Janes   +2 more
wiley   +1 more source

Polar Coordinates for the 3/2 Stochastic Volatility Model

Mathematical Finance, Volume 35, Issue 3, Page 708-723, July 2025.
ABSTRACT The 3/2 stochastic volatility model is a continuous positive process s with a correlated infinitesimal variance process ν$\nu $. The exact definition is provided in the Introduction immediately below. By inspecting the geometry associated with this model, we discover an explicit smooth map ψ$ \psi $ from (R+)2$({\mathbb{R}}^+)^2 $ to the ...
Paul Nekoranik
wiley   +1 more source

Rough PDEs for Local Stochastic Volatility Models

Mathematical Finance, Volume 35, Issue 3, Page 661-681, July 2025.
ABSTRACT In this work, we introduce a novel pricing methodology in general, possibly non‐Markovian local stochastic volatility (LSV) models. We observe that by conditioning the LSV dynamics on the Brownian motion that drives the volatility, one obtains a time‐inhomogeneous Markov process. Using tools from rough path theory, we describe how to precisely
Peter Bank, Christian Bayer, Peter K. Friz, Luca Pelizzari   +3 more
wiley   +1 more source